wehub-resource-sync
126 lines
4.9 KiB
C#
126 lines
4.9 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Configuration;
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using QuantConnect.Data.Shortable;
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namespace QuantConnect.Tests.Common.Data.Shortable
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{
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[TestFixture]
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public class ShortableProviderTests
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{
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private readonly Dictionary<string, Dictionary<Symbol, ShortableData>[]> _resultsByBrokerage = new();
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private Symbol[] _symbols;
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[SetUp]
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public void SetupConfig()
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{
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Config.Set("data-folder", "TestData");
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Globals.Reset();
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_symbols = new[] { "AAPL", "GOOG", "BAC" }
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.Select(x => new Symbol(SecurityIdentifier.GenerateEquity(x, QuantConnect.Market.USA, mappingResolveDate: new DateTime(2021, 1, 4)), x))
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.ToArray();
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_resultsByBrokerage["testinteractivebrokers"] = new[]
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{
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new Dictionary<Symbol, ShortableData>
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{
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{ _symbols[0], new(2000, 0.0507m, 0.0025m) },
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{ _symbols[1], new(5000, 0.0517m, 0.0035m) },
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{ _symbols[2], new(null, 0, 0) } // we have no data for this symbol
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},
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new Dictionary<Symbol, ShortableData>
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{
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{ _symbols[0], new(4000, 0.0509m, 0.003m) },
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{ _symbols[1], new(10000, 0.0519m, 0.004m) },
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{ _symbols[2], new(null, 0, 0) } // we have no data for this symbol
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}
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};
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_resultsByBrokerage["testbrokerage"] = new[]
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{
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new Dictionary<Symbol, ShortableData>
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{
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{ _symbols[0], new(2000, 0, 0) },
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{ _symbols[1], new(5000, 0, 0) },
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{ _symbols[2], new(null, 0, 0) } // we have no data for this symbol
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},
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new Dictionary<Symbol, ShortableData>
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{
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{ _symbols[0], new(4000, 0, 0) },
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{ _symbols[1], new(10000, 0, 0) },
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{ _symbols[2], new(null, 0, 0) } // we have no data for this symbol
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}
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};
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}
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[TearDown]
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public void ResetConfig()
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{
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Config.Reset();
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Globals.Reset();
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}
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[TestCase("testbrokerage")]
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[TestCase("testinteractivebrokers")]
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public void LocalDiskShortableProviderGetsDataBySymbol(string brokerage)
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{
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var shortableProvider = new LocalDiskShortableProvider(brokerage);
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var results = _resultsByBrokerage[brokerage];
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var dates = new[]
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{
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new DateTime(2020, 12, 21),
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new DateTime(2020, 12, 22)
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};
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foreach (var symbol in _symbols)
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{
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for (var i = 0; i < dates.Length; i++)
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{
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var date = dates[i];
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var shortableQuantity = shortableProvider.ShortableQuantity(symbol, date);
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var rebateRate = shortableProvider.RebateRate(symbol, date);
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var feeRate = shortableProvider.FeeRate(symbol, date);
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Assert.AreEqual(results[i][symbol].ShortableQuantity, shortableQuantity);
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Assert.AreEqual(results[i][symbol].RebateRate, rebateRate);
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Assert.AreEqual(results[i][symbol].FeeRate, feeRate);
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}
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}
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}
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[TestCase("AAPL", "nobrokerage")]
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[TestCase("SPY", "testbrokerage")]
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public void LocalDiskShortableProviderDefaultsToNullForMissingData(string ticker, string brokerage)
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{
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var provider = new LocalDiskShortableProvider(brokerage);
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var date = new DateTime(2020, 12, 21);
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var symbol = new Symbol(SecurityIdentifier.GenerateEquity(ticker, QuantConnect.Market.USA, mappingResolveDate: date), ticker);
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Assert.IsFalse(provider.ShortableQuantity(symbol, date).HasValue);
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Assert.AreEqual(0, provider.RebateRate(symbol, date));
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Assert.AreEqual(0, provider.FeeRate(symbol, date));
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}
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private record ShortableData(long? ShortableQuantity, decimal RebateRate, decimal FeeRate);
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}
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}
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